# Boosted_HP_filter

**Repository Path**: ccfgtt/Boosted_HP_filter

## Basic Information

- **Project Name**: Boosted_HP_filter
- **Description**: Accompanying functions for Peter Phillips and Zhentao Shi (2019): "Boosting: Why You Can Use the HP Filter"
- **Primary Language**: Unknown
- **License**: MIT
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 0
- **Created**: 2020-10-26
- **Last Updated**: 2020-12-19

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# Introduction



This is the repository for 

Peter Phillips and Zhentao Shi (2019): "[Boosting: Why You Can Use the HP Filter ](https://arxiv.org/abs/1905.00175)"

in `R`, `MATLAB`, `Python` and `Julia`.



**Contributors**: Zhentao Shi, Yang Chen and Ziwei Mei



* Update on 8/27/2020: [python code](https://github.com/zhentaoshi/Boosted_HP_filter/tree/master/python) and [julia code](https://github.com/zhentaoshi/Boosted_HP_filter/tree/master/Julia) are added by Ziwei Mei. The bHP-ADF result are slightly different from that of the [R code](https://github.com/zhentaoshi/Boosted_HP_filter/tree/master/R) because the ADF tests cited in these languages. In the scripts, the testing examples immediately follow the main function.
* Update on 8/21/2020: [Matlab code](https://github.com/zhentaoshi/Boosted_HP_filter/tree/master/matlab) is added into the MATLAB folder. It produces exactly the same results as the [R code](https://github.com/zhentaoshi/Boosted_HP_filter/tree/master/R). We offer two scripts under these folders:
  * `BoostedHP` contains the function to implement the automated boosted HP filter.
    The inputs and outputs are detailed in the beginning of the function.
  * `testing_example` is a script to demonstrate the usage of the filtering procedure.
* Update on 8/18/2020: The [R code](https://github.com/zhentaoshi/Boosted_HP_filter/tree/master/R) is superseded by a new R package [BoostedHP](https://github.com/chenyang45/BoostedHP). 
  See the [vignette](https://github.com/chenyang45/BoostedHP/blob/master/vignettes/vignette.pdf) for its usage.